Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1371 |
| Annualized Std Dev | 0.1771 |
| Annualized Sharpe (Rf=0%) | 0.7741 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2940.0000 |
| NAs | 1.0000 |
| Minimum | -0.1159 |
| Quartile 1 | -0.0037 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0006 |
| Geometric Mean | 0.0005 |
| Quartile 3 | 0.0056 |
| Maximum | 0.0950 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0002 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0001 |
| Stdev | 0.0112 |
| Skewness | -0.6293 |
| Kurtosis | 14.4961 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0083 |
| Gain Deviation | 0.0077 |
| Loss Deviation | 0.0094 |
| Downside Deviation (MAR=210%) | 0.0127 |
| Downside Deviation (Rf=0%) | 0.0080 |
| Downside Deviation (0%) | 0.0080 |
| Maximum Drawdown | 0.3612 |
| Historical VaR (95%) | -0.0167 |
| Historical ES (95%) | -0.0274 |
| Modified VaR (95%) | -0.0164 |
| Modified ES (95%) | -0.0315 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2020-02-20 | 2020-03-23 | 2020-09-02 | -0.3612 | 137 | 23 | 114 |
| 2018-09-24 | 2018-12-24 | 2019-11-01 | -0.2141 | 280 | 64 | 216 |
| 2011-05-02 | 2011-10-03 | 2012-03-13 | -0.2039 | 219 | 108 | 111 |
| 2010-04-16 | 2010-07-02 | 2010-11-04 | -0.1574 | 142 | 55 | 87 |
| 2015-05-22 | 2016-02-11 | 2016-07-08 | -0.1479 | 284 | 182 | 102 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | NA | 0 | -1.7 | -2.5 | -2.7 | 1.1 | -0.9 | -6.7 |
| 2010 | 0.9 | 1.1 | 0.5 | -1.5 | -2.4 | -0.1 | -0.2 | 3 | 0.3 | 0.1 | 2.2 | -0.2 | 3.6 |
| 2011 | 1.9 | -1.2 | 0.4 | 0.2 | -1.8 | 1.5 | -0.6 | -1.4 | -2.3 | -3.3 | -0.1 | -0.2 | -6.9 |
| 2012 | 1 | 0.5 | 0.3 | 0.6 | -2.4 | 3.6 | 0.1 | 0.5 | 0.5 | 0.6 | 0.2 | 1.7 | 7.5 |
| 2013 | 1 | 0.3 | -0.3 | -0.9 | -1.3 | 0.2 | 1.4 | -0.5 | 0.7 | 0.1 | -0.1 | 0.2 | 0.9 |
| 2014 | -0.7 | 0.2 | 0.7 | -0.1 | 0.2 | 0.7 | -0.3 | 0.3 | -1.4 | 1.1 | -0.7 | -1.1 | -1.1 |
| 2015 | -1.3 | -0.3 | -0.6 | 1.3 | 0 | 0.7 | 0.2 | -2.9 | 0.1 | -0.2 | 1 | -0.8 | -2.8 |
| 2016 | 0.2 | 2.6 | 0.6 | -0.7 | 0.1 | 0.1 | -0.4 | -0.2 | 0.6 | -0.8 | -0.5 | -0.4 | 1.1 |
| 2017 | 0.1 | 1.3 | -0.1 | 0.3 | 0.8 | 0.4 | 0.1 | 0.4 | 0.2 | 0.1 | -0.1 | -0.6 | 3.1 |
| 2018 | 0 | -0.9 | 1.5 | 0.2 | 0.9 | 0 | -0.2 | 0 | 0.2 | 0.9 | 0.6 | 0.9 | 4.1 |
| 2019 | -0.1 | 0.4 | 1.5 | -1 | -1.1 | 0.8 | -1.3 | 0.1 | -1.3 | 1.2 | -0.3 | 0.4 | -0.8 |
| 2020 | -1.6 | -1.5 | -4.6 | -2.8 | 0.2 | 0.2 | 0.8 | 0.9 | 0.2 | -1.4 | 1 | 0.5 | -8.3 |
| 2021 | 1.9 | 2.1 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-07-14 20.1 SPY 90.6 0.0056 0.029 -0.047 0.0742 -0.262 -0.281 -0.19 GLD 90.8 0.0069 0.0011
2 2009-07-15 20.7 SPY 93.3 0.0292 0.0598 0.0039 0.094 -0.229 -0.248 -0.164 GLD 92.2 0.0157 0.0333
3 2009-07-16 20.9 SPY 93.1 -0.0016 0.056 0.016 0.0764 -0.249 -0.246 -0.160 GLD 92.0 -0.0028 0.0276
4 2009-07-17 20.9 SPY 94.1 0.011 0.0701 0.0282 0.081 -0.248 -0.237 -0.150 GLD 91.9 -0.0005 0.0262
5 2009-07-20 21.0 SPY 95.1 0.0106 0.0558 0.0316 0.140 -0.245 -0.233 -0.137 GLD 93.3 0.0147 0.0343
6 2009-07-21 21.2 SPY 95.6 0.0046 0.0547 0.0384 0.124 -0.242 -0.240 -0.144 GLD 93.1 -0.0016 0.0255
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
